Bordo, Michael D.
[Verfasser:in]
;
Humpage, Owen
[Sonstige Person, Familie und Körperschaft];
Schwartz, Anna J.
[Sonstige Person, Familie und Körperschaft]
A Brief Empirical History of U.S. Foreign-Exchange Intervention
Erschienen in:FRB of Cleveland Working Paper ; No. 09-03
Umfang:
1 Online-Ressource (40 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1408191
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 19, 2009 erstellt
Beschreibung:
This paper assesses U.S. foreign-exchange intervention since the inception of generalized floating. We find that intervention was by and large ineffectual. We first identify which interventions were successful according to three criteria. Then, we test whether the number of observed successes significantly exceeds the amount that would randomly occur given the near-martingale nature of daily exchange-rate changes. Finally, we investigate whether the various characteristics of an intervention - its size, frequency, or coordination - can increase the probability of success. We find that intervention did tend to moderate same-day exchange-rate movements relative to the previous day, but this effect is not robust across subperiods or currencies and it occurs infrequently. Increasing the size of an intervention increases the probability of success, but no other variable consistently makes a difference, including coordinating interventions with other central banks